Mail Application taking all my Hard Drive Space

I have a mid-2011 MacBook Air. I use the "Mail" application for work and it is taking up nearing 80% of my available hard drive space. I need to free up (aka delete) email files, but not sure how to do that from the Hard Drive files. I'm told (from a visit to Apple's Genius Bar) that there is no way to save Mail emails/attachments, etc. to an external drive…all Mail Application information has to be stored on the Hard Drive.

Can anyone please point me in the right direction as to how to delete old email files from the hard drive? Or confirm if once I delete emails from within the Mail Application, does that automatically delete from the hard drive? I need the space back desperately!

Thanks!